Exploració per autor "Abad, Pilar"
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Variance reduction technique for calculating value at risk in fixed income portfolios
Abad, Pilar; Benito, Sonia (Institut d'Estadística de Catalunya, 2010)
Article
Accés obertFinancial institutions and regulators increasingly use Value at Risk (VaR) as a standard measure for market risk. Thus, a growing amount of innovative VaR methodologies is being developed by researchers in order to improve ...